TJX Options History — June 2017

In June 2017, TJX traded between $34.42 and $37.86. ATM implied volatility averaged 17.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.8% (HV 20d: 20.2%). Max pain ranged from $36.25 to $38.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2017-06-22: Highest Volume — 24,948 contracts
  • 2017-06-14: Largest IV drop — 21.1% change
  • 2017-06-12: Highest IV Rank — 29.6%
  • 2017-06-29: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.16$34.42$37.86$37.86$36.17
Max Pain$37.33$36.25$38.75$38.75$36.25
ATM IV17.3%15.6%20.9%16.9%16.6%
Expected Move4.8%4.4%5.3%4.9%4.7%
HV 20d20.2%15.6%26.0%25.5%19.2%
HV 60d18.6%17.6%19.6%17.6%19.5%
IV Rank16.0%9.3%29.6%14.4%12.9%
IV Percentile36.2%9.1%69.8%28.2%24.6%
Term Structure3.0%-0.8%4.9%-0.8%4.9%
VWIV16.6%15.7%18.0%16.8%16.8%
Skew 25d2.1%1.2%2.8%1.8%2.3%
Skew 10d4.1%0.6%7.7%7.7%1.5%
Call IV 25d16.0%14.2%18.0%15.5%15.7%
Put IV 25d18.1%16.7%20.2%17.4%18.0%
Bid-Ask Spread %13.118.9118.9514.359.54
Gamma HHI0.200.130.500.170.13
Net GEX-5.5M-20.1M-1.1M-1.1M-4.2M
Net DEX84.3M25.7M127.6M25.7M51.2M
Net VEX-791.6K-855.4K-713.3K-839.9K-855.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.703.371.140.71
Total Volume8,086.0914,19024,9484,9006,708
Total OI166,156.182141,380182,570168,644166,940

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$37.86$38.7516.9%4.9%25.5%14.4%16.8%1.8%-0.8%-1.1M25.7M-839.9K1.1414.35N/AN/A2,2862,61478,94089,704
2017-06-02$37.60$38.7515.8%4.5%25.6%10.2%15.7%2.5%-0.1%-1.5M34.7M-833.8K1.3218.95N/AN/A2,2943,02479,14290,142
2017-06-05$37.55$37.5016.3%4.6%25.6%11.8%15.7%2.6%2.0%-2.0M41.6M-805.8K1.1610.07N/AN/A1,9362,25479,37890,378
2017-06-06$37.00$37.5016.2%4.4%26.0%11.4%16.0%2.3%2.5%-3.5M67.9M-785.0K1.1716.00N/AN/A2,4122,81279,40690,572
2017-06-07$37.17$37.5016.5%4.5%25.9%12.7%15.8%2.4%2.5%-3.1M60.5M-785.7K1.1114.31N/AN/A2,0382,26279,30891,308
2017-06-08$36.40$37.5017.5%4.7%24.7%16.5%16.4%2.3%2.3%-5.5M95.1M-754.1K1.7310.47N/AN/A2,7404,73679,21691,456
2017-06-09$36.84$37.5017.6%4.8%25.1%17.0%16.5%1.7%2.7%-4.5M78.4M-788.7K2.0114.74N/AN/A1,9623,95079,91693,850
2017-06-12$36.87$37.5020.9%4.9%23.1%29.6%16.5%2.1%2.3%-4.6M77.0M-786.3K1.2011.02N/AN/A3,4364,12479,89494,872
2017-06-13$36.91$37.5020.4%4.4%23.1%28.0%16.5%1.9%3.1%-4.8M75.5M-780.6K1.0114.62N/AN/A4,5604,59479,89895,806
2017-06-14$36.59$37.5016.1%4.6%17.2%11.3%15.9%2.4%3.4%-8.8M95.9M-800.0K3.3716.85N/AN/A3,35211,31080,63098,534
2017-06-15$36.29$37.5016.2%4.6%15.7%11.5%15.9%2.3%3.4%-11.8M108.7M-792.3K1.5012.71N/AN/A2,6543,97481,20099,622
2017-06-16$36.15$37.5015.6%4.5%15.6%9.3%15.8%2.8%3.6%-20.1M116.1M-784.6K1.8015.91N/AN/A2,3864,29682,092100,478
2017-06-19$36.17$37.5016.0%4.6%15.6%10.9%16.2%2.0%3.9%-6.2M83.8M-766.4K0.788.91N/AN/A3,8903,04852,57488,806
2017-06-20$35.16$37.5017.6%5.0%17.2%17.0%17.6%2.4%3.6%-5.8M112.0M-725.6K1.3210.08N/AN/A4,2845,63854,36488,798
2017-06-21$34.70$37.5017.9%5.1%17.2%18.4%17.8%1.5%3.6%-5.7M124.8M-713.3K1.0614.14N/AN/A5,5845,90855,99690,290
2017-06-22$34.42$37.5018.4%5.3%17.3%20.1%15.9%2.5%3.4%-5.0M127.6M-714.1K2.3311.80N/AN/A7,49017,45859,13491,424
2017-06-23$34.60$37.5018.1%5.2%15.7%18.9%18.0%1.7%3.9%-5.2M121.4M-783.1K0.7013.28N/AN/A5,6063,92262,55696,964
2017-06-26$35.02$36.2517.9%5.1%16.6%18.1%17.6%1.3%4.4%-4.7M103.4M-818.1K0.7212.96N/AN/A4,9643,58665,92497,598
2017-06-27$35.01$36.2517.2%4.9%16.5%15.5%17.3%1.2%4.2%-4.1M96.5M-817.3K0.8716.05N/AN/A3,3962,96468,18296,706
2017-06-28$35.63$36.2517.5%5.0%18.0%16.8%17.1%1.4%4.3%-4.4M74.8M-847.7K0.779.90N/AN/A3,2162,48868,45298,132
2017-06-29$35.51$36.2518.5%5.3%17.7%20.5%16.8%2.7%3.2%-4.3M81.2M-837.7K0.8211.76N/AN/A3,1582,58068,55098,304
2017-06-30$36.17$36.2516.6%4.7%19.2%12.9%16.8%2.3%4.9%-4.2M51.2M-855.4K0.719.54N/AN/A3,9302,77868,46898,472